Go to Deriscope's documentation start page
Model[Asset_Swap]"Model[Asset Swap]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type Asset Swap.
The following quantities may be also calculated and reported along the price.
All cash flows displayed in chronological order as a table with a maximum of 18 columns.
The column titles indicate the meaning of the respective data.
The column titled #Notional shows the notional that is relevant for determining the respective cash flow, which is the notional at the beginning of the accrual period.
In the special case of fx reset, this will be the converted domestic notional that arises after the fixed foreign notional is multiplied with the spot fx rate observed at the beginning of the accrual period.
The column titled #AdjIndex shows the adjusted index fixing, which equals the sum of the forecasted (forward) index plus a potential convexity adjustment that arises if the index is either non-ibor or sets in arrears.
The column titled #Rate shows the final rate that leads to the accrued amount after it is multiplied with the accrual period.
The column titled #Leg contains the index of the leg that contains the respective cash flow, where 1 stands for the first leg.
The column titled #InLegCF contains the index of the respective cash flow within the containing leg, where 1 stands for the first cash flow in that leg.
Fair Clean Price
Refers to the output of QuantLib's fairCleanPrice function.
Fair Non Par Repayment
Refers to the output of QuantLib's fairNonParRepayment function.
Refers to the output of QuantLib's fairSpread function.
Floating Leg BPS
Refers to the output of QuantLib's floatingLegBPS function.
Floating Leg NPV
Refers to the output of QuantLib's floatingLegNPV function.
The output is a number that represents the price of the referenced tradable.